We use cookies on this site to enhance your experience.
By selecting “Accept” and continuing to use this website, you consent to the use of cookies.
I received PhD in Computational Mathematics from the Russian Academy of Sciences in 2000 and MSc in Applied Mathematics from Novosibirsk State University in 1997. I joined Laurier in 2003. First, I was a postdoctoral fellow at the Department of Mathematics for three years. In 2006, I started a tenure-track position (Assistant Professor). Before joining Laurier, I was an Assistant Professor of Mathematics at Siberian State University of Telecommunications and Informatics and a senior research fellow at the Laboratory of Monte Carlo Methods at the Institute of Computational Mathematics and Mathematical Geophysics in Novosibirsk, Russia.
My research has two main foci. The first one is the development of financial models that can be used for asset pricing and credit risk modelling. Such models should provide a good fit for financial data; they should be tractable and allow for using a broad spectrum of analytical and numerical techniques for qualitative analysis. Second, I am interested in developing stochastic and numerical modelling methods for pricing financial securities. Examples include the construction of efficient stochastic simulation methods for diffusion and jump-diffusion processes, the development of spectral expansion methods for pricing path-dependent derivatives, and the application of parallel computing to pricing financial securities.
Books
Financial Mathematics: A Comprehensive Treatment in Continuous Time (2nd edition forthcoming in 2022) (order online from the publisher or Amazon store)
Financial Mathematics: A Comprehensive Treatment in Discrete Time (2nd edition published in 2021) (order online from the publisher or Amazon store)
Financial Mathematics: A Comprehensive Treatment (1st edition) (order online from the publisher or Amazon store)
Research Profiles
- Award in the name of Academician Mikhail A. Lavrentjev for young researchers (Russia, 2001)
- Wilfrid Laurier University Merit Awards (2015, 2017, 2020)
- Natural Sciences and Engineering Research Council Discovery grants (2006, 2013, 2019)
The research areas I am working in have many problems suitable for undergraduate students, as well as for Master’s students. From 2006 to 2021, I supervised or co-supervised 23 Master’s theses and major research projects. Graduate students from my research program have started successful careers in the financial industry or continued their graduate studies in the areas of financial mathematics. I am willing to supervise graduate students in the areas of financial mathematics and Monte Carlo methods.
- Campolieti, G. and Makarov R., Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts, SIAM Journal of Financial Mathematics, 8(1): 146–170, 2017.
- Makarov R., Modelling Liquidation Risk with Occupation Times, International Journal of Financial Engineering, 3(4), 2016.
- Makarov R., Metzler A. and Ni Z., Modelling the Default Risk with Occupation Times, Finance Research Letters, 13, 54-65, 2015.
- Campolieti, G., Makarov, R.N. Financial Mathematics: A Comprehensive Treatment, Chapman & Hall/CRC, 2014.
- Campolieti, G., Makarov, R., and Wouterloot, K. “Pricing step options under the CEV and other solvable diffusion models.” International Journal of Theoretical and Applied Finance, 16(5), 2013.
- Campolieti, G. and Makarov, R.N. “On Properties of Analytically Solvable Families of Local Volatility Diffusion Models.” Mathematical Finance, 22(3):488-518, 2012.
- Campolieti, G. and Makarov, R. “Pricing path-dependent options on state-dependent volatility models with a Bessel bridge.” International Journal of Theoretical and Applied Finance, 10(1):51-88, 2007.
- Makarov, R.N. “Numerical solution of quasilinear parabolic equations and backward stochastic differential equations.” Russ. J. Numer. Anal. Math. Modelling, 18(5):397-412, 2003.
Undergraduate Courses
MA170 Introduction to Mathematics for Finance (2008, 2014, 2015)
MA240 Introduction to Probability and Statistics (2007)
ST259 Probability I (2017, 2018, 2019, 2022)
MA270 Financial Mathematics I (2008, 2009, 2014, 2017, 2018, 2020)
MA340 Introduction to Probability Theory (2007, 2009)
MA351 Introduction to Stochastic Calculus (2006, 2007, 2010)
MA370 Financial Mathematics II (2009, 2013, 2014)
MA371 Computational Methods in Mathematics and Statistics (2005, 2007, 2011)
MA371 Computational Methods for Data Analysis (2022)
MA450 Measure and Integration (2010)
MA470 Financial Mathematics III (2010, 2014, 2016, 2021, 2023)
MA471 Computational Methods in Finance (2016, 2019)
MA485M Quantitative Financial Risk Management (2015)
MA487 Mathematical Modelling in the Applied Sciences and Finance (2017)
MA490 Stochastic Processes (2013, 2023)
MA495H Monte Carlo Methods (2013)
Graduate Courses
MA547/MA647 Monte Carlo Simulation Methods (2009, 2011, 2013)
MA571 Computational Methods for Data Analysis (2022)
MA670 Financial Mathematics: Continuous-Time Option Pricing (2010, 2014, 2016, 2023)
MA680 Seminar in Mathematical Modelling for Science & Finance (2011)
MA685L Quantitative Financial Risk Management (2015)
MA686B/MA671 Computational Finance (2016, 2019)
ST690 Stochastic Processes (2023)
Contact Info:
Office location: LH3049
Office hours:
As announced on course outlines, in class or on MyLearningSpace. Other times are by appointment.
Languages spoken: English, Russian